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st: "Prob > F = . " following clustered panel analysis. Why?

From   "Julia Ke" <>
Subject   st: "Prob > F = . " following clustered panel analysis. Why?
Date   Tue, 27 Nov 2012 19:59:35 +0100

Hi Statalist, 

I am working on a panel data analysis whereby I use a country and time fixed effect and cluster by firm (panel).

My question concerns the F-test result after clustering. The model I am using is of the form

xtset firm year
xi: regress y x1 x2 x3 x4 x5 i.year, robust cluster(firm)

Without the cluster-command, I get an F-value and a Prob > F = 0.000. Once I add 'cluster(firm)' however, I do not get one, I get: 'F(number,number)= .' and 'Prob > F = .'

I am trying to understand the underlying cause and solve it. Does anyone have experience with this issue? 

Many thanks, 

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